Application of Multi-Yield Curves Modelling to Kenyan Bonds Market

Language: English

Published by LAP Lambert Academic Publishing, 2014

3659595268 / 9783659595264

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nach der Bestellung gedruckt Neuware - Printed after ordering - With the onset of the financial crisis in late 2007, the market conditions changed radically and the elementary pricing procedure used among practitioners became unreliable and obsolete. This necessitated a change in the methods used in pricing financial products. We discuss post-credit crunch paradigm shift from single-curve to the multi-curve setting. We first present the single curve and explore techniques such as the construction of single yield (spot) curve, and show how we obtain yield measures from the curve and use them to price interest rate swaps and bonds. We then study the multi-curve pricing framework and compare the two pricing methodologies against the practice currently used in Kenya to price bonds and give recommendations.

Seller Inventory # 9783659595264

Title
Application of Multi-Yield Curves Modelling to Kenyan Bonds Market
Author
Lucy Muthoni
Publisher
LAP Lambert Academic Publishing
Publication year
2014
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3659595268
ISBN 13
9783659595264
Item weight
119 grams
Dimensions
220x150x5 mm

AHA-BUCH GmbH

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